Finding Historical Constituents of a Stock Index

Summary

The document asks how to identify every company that belonged to an index at any point within a multi-year period. Its proposed procedure is to collect the constituents at the start date, then inspect membership at successive dates and add any companies not already recorded. The example uses the FTSE 100 over a historical period, but the underlying task applies to other indices with suitable membership records.

The difficulty is obtaining historical constituent data; the questioner reports unsuccessful searches through general free data providers. The response suggests checking the index provider’s own website, using FTSE as the example. This is a data-sourcing pointer rather than a full workflow: it supplies no specific dataset, access terms, daily history, or validation method. For long periods, researchers would also need to verify the frequency of available membership snapshots and account for index changes between those observations.

Key ideas

• Build the universe by collecting index members at the start and adding newly observed constituents over time.
• Historical constituent records may be available directly from the index provider.
• Check the frequency and completeness of snapshots before claiming to capture every past member.

Tags

# Components of an index in a specific date


# Components of an index in a specific date












Objective: Get a list of all the companies that were ever part of an index (e.g.: FTSE100) in a given period of time (scale: years/decades).

Method I have in mind:

1) Create an empty list k.

2) Get a list of the components of the index in the starting date and add them to k.

3) Iterate 2) daily until final date without adding what is already in the list.

Example: Find all the companies that were at some point part of FTSE100 between January 1st 1980 and August 10th 2012.

Trouble: I cannot seem to find the required daily data on the components of the index. I tried Yahoo, Google and a couple of other (free) providers. I believe this must available somewhere, so I welcome your suggestions on how to get my hands on it.

Thanks for your input!

## Answer by chriscross (score 1)

https://quant.stackexchange.com/a/9524

Usually the index provider has such historical data on its website. For FTSE see here

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.